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Loss potential and disclosures related to credit derivatives : a cross-country comparison of corporate bond funds under US and German regulation
Gałkiewicz, Dominika - 2014 - This version: August 2014
This study analyzes the loss potential arising from investments into CDS for a sample of large U.S. and German mutual funds. Further, it investigates whether the comments funds make on CDS use in periodic fund reports are consistent with the disclosed CDS holdings. For several funds in the U.S.,...
Persistent link: https://www.econbiz.de/10010530827
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Loss potential from credit derivative use by corporate bond funds under U.S. and German Regulation : a cross country comparison
Gałkiewicz, Dominika - In: Credit and capital markets : Kredit und Kapital 49 (2016) 2, pp. 245-298
Persistent link: https://www.econbiz.de/10011555110
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Loss potential and disclosures related to credit derivatives : a cross-country comparison of corporate bond funds under US and German regulation
Gałkiewicz, Dominika - 2015
This study analyzes the loss potential arising from investments into CDS for a sample of large U.S. and German mutual funds. Further, it investigates whether the comments funds make on CDS use in periodic fund reports are consistent with the disclosed CDS holdings. For several funds in the U.S.,...
Persistent link: https://www.econbiz.de/10010503880
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Municipal collateralized debt obligations
Manning, Rebecca; Lucas, Douglas J.; Goodman, Laurie Sharon - In: The handbook of municipal bonds, (pp. 657-664). 2008
Persistent link: https://www.econbiz.de/10003715154
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Anticipating credit events using credit default swaps : an application to sovereign debt crises
Chan-Lau, Jorge A. - In: Credit risk : models, derivatives, and management, (pp. 139-154). 2008
Persistent link: https://www.econbiz.de/10003718345
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Collateral debt obligation pricing
Servigny, Arnaud de - In: The handbook of structured finance, (pp. 239-293). 2007
Persistent link: https://www.econbiz.de/10003727137
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A spread-based model for the valuation of credit derivatives with correlated defaults and counter-party risks
Chang, Chuang-chang; Yu, Jih-Chieh - In: Research in finance 23 (2006), pp. 193-220
Persistent link: https://www.econbiz.de/10003753454
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The pricing of correlated default risk : evidence from the credit derivatives market
Tarashev, Nikola A.; Zhu, Haibin - In: The journal of fixed income 18 (2008/09) 1, pp. 5-24
Persistent link: https://www.econbiz.de/10003757568
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Market expectations and default risk premium in credit default swap prices : a study of Argentine default
Zhang, Frank Xiaoling - In: The journal of fixed income 18 (2008/09) 1, pp. 37-55
Persistent link: https://www.econbiz.de/10003757570
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Synthetic CDOs : modelling, valuation and risk management
Mounfield, Craig C. - 2008
Persistent link: https://www.econbiz.de/10003757687